Systematic risk and sentiment: antecedents and mediators
- Autores: Kirill Angel
- Directores de la Tesis: Carlota Menéndez Plans (dir. tes.), Teresa Obis (codir. tes.)
- Lectura: En la Universitat Autònoma de Barcelona ( España ) en 2019
- Idioma: español
- Materias:
- Texto completo no disponible (Saber más ...)
- Resumen
The main objective of this work is to study the connection between the systematic equity risk of companies located in the tourism industry and a set of information from inside of the company and the market information including investor sentiment. The purpose of the research is to analyze the connection between the main measurement of risk and a set of information among which is the investor sentiment as a representative variable of behavioral finance line of research, which is an active field of recent findings that investigates effect on the valuation of financial assets.
Comparing the explaining power of the standard CAPM model with sentiment-updated models, the latter are able to give a better explanation of risk return dynamics. This thesis investigates the role that information and investor sentiment play in asset pricing and risk measure. Below presented papers are focused on the relationship that came from the point that a firm stock level is a derivative not only of a fundamental rational environment but at the same time is a part of a human mental being, reflexing personal sentiment and group narratives. We seek to know what information explain the equity risk in order to extract this information to estimate a pattern of behaviour, especially for those not listed companies don’t have beta. Our research showed that business size and growth along with three indicators of business efficiency, Consumer Prices and the Stoxx Europe 50 index explain the equity risk. The financial crisis of 2008 does not alter the behaviour of the model. In the second paper we analyzed 58 companies in US tourism industry of total set of 72 companies specifying sectors of Arts, Entertainment, Recreation and Accommodation and Food Services. The results show that the level of regression between systematic risk coefficient (β) and sentiment is dependent on high-low period of sentiment, it is stronger during high and low sentiment period and weak during neutral. We also found that high-low period of sentiment affects differently on companies from different clusters and sentiment affected companies are companies belonging to the cluster with low level of financial stability. In the third paper we made an international study of six economic areas and analyzed two large sectors of the tourism industry - Hotel and Entertainment Services and Passenger Transportation Services. Database of 673 companies was constructed and we investigated whether the investor sentiment and other information could explain systematic risk. We confirmed that the size of the database allows us to obtain a statistical model with greater explanatory power and the results show that the investor sentiment together with a combination of accounting and macroeconomic information are risk explanatory variables, except for USA, Japan and India and for the subsectors of Hotels, Motels & Cruise Lines and Airlines. The investor sentiment shows a negative sign of relation to risk and other explanatory variables vary for each sector and area. Our findings are very useful for tourism enterprises management in different countries, it provides information which explain the equity risk.to facilitate efficient business management and help to objectively quantify the risk without having beta.
